| Close | |
|---|---|
| Annualized Return | 0.0363 |
| Annualized Std Dev | 0.2128 |
| Annualized Sharpe (Rf=0%) | 0.1707 |
| Close | |
|---|---|
| Observations | 4757.0000 |
| NAs | 1.0000 |
| Minimum | -0.1047 |
| Quartile 1 | -0.0064 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1484 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0134 |
| Skewness | 0.0671 |
| Kurtosis | 8.1058 |
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0098 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0095 |
| Downside Deviation (0%) | 0.0095 |
| Maximum Drawdown | 0.5649 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0194 |
| Modified ES (95%) | -0.0264 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-10 | 2009-03-09 | 2018-01-08 | -0.5649 | 2914 | 712 | 2202 |
| 2018-01-29 | 2020-03-16 | 2020-11-24 | -0.3393 | 711 | 534 | 177 |
| 2002-05-28 | 2003-04-28 | 2003-10-03 | -0.3387 | 278 | 178 | 100 |
| 2001-10-29 | 2002-02-06 | 2002-03-07 | -0.1995 | 73 | 56 | 17 |
| 2004-04-06 | 2004-05-17 | 2005-09-02 | -0.1935 | 356 | 29 | 327 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.8 | -1 | 0.3 |
| 2002 | -1 | 3 | 1.4 | -0.1 | 0.7 | 1.3 | -0.1 | -1.3 | 0 | 1.2 | 0.8 | 0 | 6 |
| 2003 | -2.3 | -0.9 | -1.1 | 1.8 | 0.3 | 1.3 | -0.9 | 1.2 | 3.2 | -2.1 | 2.6 | 0.4 | 3.5 |
| 2004 | 0.3 | 2.7 | 0.8 | -0.6 | -1.1 | -1.3 | 1 | 0.5 | 2.3 | 0 | 1 | 1 | 6.7 |
| 2005 | 0.3 | 0.8 | -0.4 | 1.4 | 1 | -0.1 | 0.8 | 1 | -1.5 | 1.3 | 2.2 | -0.8 | 6.2 |
| 2006 | -1.1 | 0.7 | -0.7 | 0.2 | 0.8 | 1.5 | -1.2 | 0.7 | 0.3 | 0 | -0.4 | -0.2 | 0.6 |
| 2007 | 1.3 | -0.6 | -1.2 | 0.4 | 0.5 | 0.9 | -1.2 | 2.1 | 0.8 | -1.3 | 0.1 | -0.3 | 1.4 |
| 2008 | 0.7 | -1.4 | 2.6 | 0.5 | 1.3 | 0 | -1 | 0.5 | -0.8 | -0.8 | -6.9 | 0.7 | -4.7 |
| 2009 | -2.3 | 0.8 | 2.8 | 1.3 | 1.3 | 0.8 | 0.7 | -1.1 | -2.3 | -1.2 | 3.2 | -0.5 | 3.2 |
| 2010 | 0.9 | 0.6 | 1.5 | -1.3 | -0.2 | 0.2 | -0.5 | 2.2 | -0.1 | -1 | 2 | 0.7 | 5 |
| 2011 | 1.9 | -0.1 | -0.2 | 0.7 | -1.2 | 0.6 | -0.6 | -0.6 | -2.2 | -1.5 | -1.3 | 0.3 | -4.2 |
| 2012 | 1 | 0.1 | 0.3 | -0.8 | -2.6 | 1.9 | -0.9 | -0.2 | 0.2 | 1.5 | 0 | 0.7 | 1.1 |
| 2013 | -0.2 | 0.8 | -3.8 | -1.1 | -1.8 | 1 | 3.6 | -2.3 | -0.3 | -1.7 | 0.2 | 0.5 | -5.3 |
| 2014 | -2 | -0.3 | -0.1 | 1.2 | 0.4 | 1.3 | 0 | 0 | -1.1 | 4.9 | 0.4 | 0.3 | 5 |
| 2015 | -1.5 | -0.7 | 0.1 | 1.1 | 1.1 | 0.6 | 0.8 | -5.4 | 1.1 | 0.4 | 0.3 | -0.9 | -3 |
| 2016 | 0.5 | 2.3 | -2.3 | -1.4 | 0 | -0.1 | 0.1 | 1.1 | -0.3 | -0.5 | -0.9 | 0.5 | -1 |
| 2017 | 0.8 | 1.3 | -1.1 | 0.4 | 0.7 | 0.3 | 0.8 | -0.2 | 0 | 0.6 | -0.8 | 0.1 | 2.9 |
| 2018 | 0.8 | -2.7 | 1.1 | -0.5 | 0.7 | -0.2 | 0.3 | 0.2 | 0.5 | -0.4 | -0.2 | -0.4 | -0.8 |
| 2019 | -0.5 | 0.4 | 1.5 | -0.4 | -1.2 | 1.4 | -0.2 | -0.1 | -0.8 | 1.1 | -0.9 | 0.2 | 0.6 |
| 2020 | -1.7 | -0.4 | -4.7 | -1.6 | 1.4 | -0.3 | -2.7 | 0.2 | 0 | -0.9 | 2.1 | 0.1 | -8.4 |
| 2021 | 0.8 | 1.5 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-10-26 38.7 SPY 110. -0.0023 0.0277 0.0787 -0.0635 -0.212 NA NA <NA> NA NA NA
2 2001-10-29 37.9 SPY 107. -0.026 -0.0185 0.0288 -0.0978 -0.235 NA NA <NA> NA NA NA
3 2001-10-31 37.6 SPY 106. -0.0034 -0.026 0.0021 -0.124 -0.224 NA NA <NA> NA NA NA
4 2001-11-01 37.8 SPY 109. 0.0256 -0.0186 0.0108 -0.102 -0.206 NA NA <NA> NA NA NA
5 2001-11-02 37.8 SPY 109. 0.0068 -0.0097 0.0168 -0.0997 -0.216 NA NA <NA> NA NA NA
6 2001-11-06 38.4 SPY 112. 0.0155 0.0588 0.0551 -0.0833 -0.214 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>